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  • 1995-1999  (2)
  • C12  (2)
  • 1
    Electronic Resource
    Electronic Resource
    Stochastic properties of german stock returns (1996)
    Springer
    Empirical economics 21 (1996), S. 281-306 
    Details
    ISSN: 1435-8921
    Keywords: C12 ; G14
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We investigate various distributional properties of German stock returns, like serial correlation, the existence of higher moments and calendar effects, with a focus on the robustness of various empirical measures to a nonstandard distribution of the returns. We exhibit the well known Monday effect also for German stocks, and show that its significance, like that of tests for serial correlation, depends on distributional assumptions which are often overlooked.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01175974
    Library Location Call Number Volume/Issue/Year Availability
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    Paper (German National Licenses)
    Fulltext
  • 2
    Electronic Resource
    Electronic Resource
    Stocks and the weather: An exercise in data mining or yet another capital market anomaly? (1997)
    Springer
    Empirical economics 22 (1997), S. 637-641 
    Details
    ISSN: 1435-8921
    Keywords: C12
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We try to replicate the findings in Saunders (1993) that stock prices are “systematically affected by local weather”. Using German data, we find that whether or not the null hypothesis of no relationship can be rejected depends mostly on the way the null hypothesis is phrased, and that no systematic relationship seems to exist.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01205784
    Library Location Call Number Volume/Issue/Year Availability
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    Paper (German National Licenses)
    Fulltext
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